=+(iii) Suppose that after one year (i.e. at time s = 1) the instantaneous forward rate becomes
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=+(iii) Suppose that after one year (i.e. at time s = 1) the instantaneous forward rate becomes f(1, t) = 0.05 + 0.02t and the simple forward rate was F(11/12; 11/12, 7/6) = 0.05. What is then the price of the original receiver swap at the time 1? Assume that the nominal value is equal to
£10 million.
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